Examinando por Materia "DVA"

Mostrando 1 - 1 de 1
  • No hay miniatura disponible
    Ítem
    Implementación de una metodología para ajustes CVA-DVA para el forward del fondo Renta Alta Convicción de Valores Bancolombia S.A
    (2018) Cadavid Hernández, Felipe Alfonso; Pérez Díez, Emerson
    The economic and financial crisis of 2008 led the financial sector to reflect about the way in which should be taken into account the counterparty credit risk (CCR), undertaken in financial over–the–counter (OTC) derivatives transactions. As result that crisis appeared Basel III agreement, which established a set of standards for measuring adjustments to valuation counterparty credit risk CVA (Credit Valuation Adjustment) and own credit risk DVA (Debit Valuation Adjustment). So that, Colombia began its evolutionary process towards modifying of its normative framework, as regards the demands of Basel III for valuation of transactions traded with financial OTC derivatives. The main purpose this study is implement discounted cash flow methodology, to estimate pricing of CVA–DVA adjustments, for valuation forward (OTC) USD–COP transactions of “Alta Convicción” Fund of Valores Bancolombia S.A